Wavelet Quantile Regression Toolbox

A comprehensive toolbox for wavelet-domain quantile analyses of bivariate and multivariate time series. Provides Wavelet Quantile Regression and Multivariate Wavelet Quantile Regression after Adebayo and Ozkan (2024) , Wavelet Quantile-on-Quantile regression with bootstrap p-values extending Sim and Zhou (2015) , the nonparametric Causality-in-Quantiles test of Balcilar, Gupta and Pierdzioch (2016) together with its wavelet variant, Wavelet Quantile Mediation and Moderation, Wavelet Quantile Correlation, and a wavelet-based nonparametric Quantile Density estimator. The Maximal Overlap Discrete Wavelet Transform (MODWT) decomposition is performed via 'waveslim' and Short / Medium / Long band aggregation is supported throughout. For plain Quantile-on-Quantile regression see the companion CRAN package 'QuantileOnQuantile'. All interactive 3D surfaces, heatmaps and contour plots default to the 'MATLAB' 'Parula' colour map.